On MS, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On MS, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is "Sell in May and go away": -3.0 points a year over buying and holding MS. The worst is Parabolic SAR: follow the dots: -15.2 points a year against buy-and-hold.
| Strategy | Return | Buy and hold | Excess (pts/yr) | Vs. S&P 500 (pts/yr) | Out of sample | Trades |
|---|---|---|---|---|---|---|
| “Sell in May and go away” | ×26 | ×63 | -3.0% | -0.7% | overfit | 67 |
| 2-day RSI (the Connors rule) | ×19 | ×63 | -3.9% | -1.7% | partly | 818 |
| Stochastic: oversold cross (14, 3) | ×12 | ×63 | -5.4% | -3.1% | overfit | 481 |
| Supertrend: the line that changes colour | ×12 | ×63 | -5.5% | -3.2% | overfit | 63 |
| Only invest above the 200-day average | ×11 | ×63 | -5.6% | -3.3% | overfit | 255 |
| The golden cross (50/200) | 898.3% | ×63 | -6.0% | -3.8% | overfit | 49 |
| Ichimoku: buy above the cloud | 368.9% | ×63 | -8.4% | -6.2% | overfit | 418 |
| RSI 14: buy oversold (30/70) | 177.1% | ×63 | -10.0% | -7.8% | overfit | 50 |
| ADX: trade only in strong trends | 137.8% | ×63 | -10.5% | -8.3% | overfit | 1056 |
| ICT / Smart Money: the fair value gap | 33.3% | ×63 | -12.3% | -10.0% | overfit | 272 |
| Wyckoff: buying the accumulation | 18.4% | ×63 | -12.6% | -10.4% | overfit | 190 |
| Smart Money: the liquidity sweep | 9.6% | ×63 | -12.9% | -10.6% | overfit | 108 |
| ICT / Smart Money: the order block | 0.2% | ×63 | -13.1% | -10.9% | — | 2 |
| The MACD cross (12/26/9) | -1.6% | ×63 | -13.2% | -10.9% | overfit | 692 |
| Bounce off the lower Bollinger band | -9.0% | ×63 | -13.4% | -11.2% | overfit | 248 |
| The Turtles: 55-day breakout | -16.5% | ×63 | -13.7% | -11.4% | overfit | 148 |
| Kaufman’s adaptive moving average (KAMA) | -31.8% | ×63 | -14.3% | -12.0% | overfit | 1155 |
| Heikin Ashi: follow the coloured candles | -39.7% | ×63 | -14.6% | -12.4% | overfit | 2202 |
| Upper Bollinger band breakout | -48.9% | ×63 | -15.1% | -12.9% | overfit | 568 |
| Parabolic SAR: follow the dots | -49.5% | ×63 | -15.2% | -12.9% | overfit | 777 |
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